tlab-trading-toolkit

/// <reference types="node" /> /// <reference types="bintrees" /> /*************************************************************************************************************************** * @license * * Copyright 2017 Coinbase, Inc. * * * * Licensed under the Apache License, Version 2.0 (the "License"); you may not use this file except in compliance * * with the License. You may obtain a copy of the License at * * * * http://www.apache.org/licenses/LICENSE-2.0 * * * * Unless required by applicable law or agreed to in writing, software distributed under the License is distributed on * * an "AS IS" BASIS, WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. See the * * License for the specific language governing permissions and limitations under the License. * ***************************************************************************************************************************/ import { CumulativePriceLevel, Level3Order, Orderbook, OrderbookState, PriceComparable, PriceLevel, PriceLevelWithOrders } from './Orderbook'; import { BigJS, Biglike } from './types'; import { RBTree } from 'bintrees'; import { EventEmitter } from 'events'; import { Logger } from '../utils/Logger'; export declare function AggregatedLevelFactory(totalSize: Biglike, price: Biglike, side: string): AggregatedLevelWithOrders; export declare function AggregatedLevelFromPriceLevel(priceLevel: PriceLevelWithOrders): AggregatedLevelWithOrders; /** * For cumulative order calculations, indicates at which price to start counting at and from which order size to start * within that level */ export interface StartPoint { price: BigJS; size: BigJS; } export interface OrderPool { [id: string]: Level3Order; } export declare class AggregatedLevel implements PriceLevel { totalSize: BigJS; totalValue: BigJS; price: BigJS; private _numOrders; constructor(price: BigJS); readonly numOrders: number; isEmpty(): boolean; equivalent(level: AggregatedLevel): boolean; protected add(amount: BigJS): void; protected subtract(amount: BigJS): void; } export declare class AggregatedLevelWithOrders extends AggregatedLevel implements PriceLevelWithOrders { private _orders; constructor(price: BigJS); readonly orders: Level3Order[]; readonly numOrders: number; findOrder(id: string): Level3Order; addOrder(order: Level3Order): boolean; removeOrder(id: string): boolean; } /** * BookBuilder is a convenience class for maintaining an in-memory Level 3 order book. Each * side of the book is represented internally by a binary tree and a global order hash map * * The individual orders can be tracked globally via the orderPool set, or per level. The orderpool and the aggregated * levels point to the same order objects, and not copies. * * Call #state to get a hierarchical object representation of the orderbook */ export declare class BookBuilder extends EventEmitter implements Orderbook { sequence: number; protected bids: RBTree<AggregatedLevelWithOrders>; protected asks: RBTree<AggregatedLevelWithOrders>; protected _bidsTotal: BigJS; protected _bidsValueTotal: BigJS; protected _asksTotal: BigJS; protected _asksValueTotal: BigJS; protected _orderPool: OrderPool; private logger; constructor(logger: Logger); clear(): void; readonly bidsTotal: BigJS; readonly bidsValueTotal: BigJS; readonly asksTotal: BigJS; readonly asksValueTotal: BigJS; readonly numAsks: number; readonly numBids: number; orderPool: OrderPool; readonly highestBid: AggregatedLevelWithOrders; readonly lowestAsk: AggregatedLevelWithOrders; getOrder(id: string): Level3Order; hasOrder(orderId: string): boolean; getLevel(side: string, price: BigJS): AggregatedLevelWithOrders; /** * Add an order's information to the book * @param order */ add(order: Level3Order): boolean; /** * Changes the size of an existing order to newSize. If the order doesn't exist, returns false. * If the newSize is zero, the order is removed. * If newSize is negative, an error is thrown. * It is possible for an order to switch sides, in which case the newSide parameter determines the new side. */ modify(id: string, newSize: BigJS, newSide?: string): boolean; addLevel(side: string, level: AggregatedLevelWithOrders): void; /** * Remove a complete level and links to orders in the order pool. If the price level doesn't exist, it returns * false */ removeLevel(side: string, priceLevel: PriceComparable): boolean; /** * Shortcut method for replacing a level. First removeLevel is called, and then addLevel */ setLevel(side: string, level: AggregatedLevelWithOrders): boolean; /** * Remove the order from the orderbook If numOrders drops to zero, remove the level */ remove(orderId: string): Level3Order; getTree(side: string): RBTree<AggregatedLevelWithOrders>; /** * Returns a book object that has all the bids and asks at this current moment. For performance reasons, this method * returns a shallow copy of the underlying orders, so modifying the state object may break the orderbook generally. * For deep copies, call #stateCopy instead */ state(): OrderbookState; /** * Returns a deep copy of the orderbook state. */ stateCopy(): OrderbookState; fromState(state: OrderbookState): void; /** * Return an array of (aggregated) orders whose sum is equal to or greater than `value`. * The side parameter is from the perspective of the purchaser, so 'buy' returns asks and 'sell' bids. * If useQuote is true, value is assumed to represent price * size, otherwise just size is used * startPrice sets the first price to start counting from (inclusive). The default is undefined, which starts at the best bid/by */ ordersForValue(side: string, value: BigJS, useQuote: boolean, start?: StartPoint): CumulativePriceLevel[]; protected removeFromPool(orderId: string): boolean; protected subtractFromTotal(amount: BigJS, side: string, price: BigJS): void; protected addToTotal(amount: BigJS, side: string, price: BigJS): void; }